相关论文: Parameter estimates for fractional autoregressive …

In this paper, we show that the adaptive multidimensional increment ratio estimator of the long range memory parameter defined in Bardet and Dola (2012) satisfies a central limit theorem (CLT in the sequel) for a large semiparametric class…

Gaussian processes are popular and flexible models for spatial, temporal, and functional data, but they are computationally infeasible for large datasets. We discuss Gaussian-process approximations that use basis functions at multiple…

This paper introduces a novel error estimator for the Proper Generalized Decomposition (PGD) approximation of parametrized equations. The estimator is intrinsically random: It builds on concentration inequalities of Gaussian maps and an…

The use of Gaussian process models is typically limited to datasets with a few tens of thousands of observations due to their complexity and memory footprint. The two most commonly used methods to overcome this limitation are 1) the…

We develop a $D-$module approach to various kinds of solutions to several classes of important differential equations by long divisions of different differential operators. The zeros of remainder maps of such long divisions are handled by…

In this paper, we develop a parameter estimation method for factorially parametrized models such as Factorial Gaussian Mixture Model and Factorial Hidden Markov Model. Our contributions are two-fold. First, we show that the emission matrix…

Data can be assumed to be continuous functions defined on an infinite-dimensional space for many phenomena. However, the infinite-dimensional data might be driven by a small number of latent variables. Hence, factor models are relevant for…

Partially observable Markov decision processes (POMDPs) are standard models for dynamic systems with probabilistic and nondeterministic behaviour in uncertain environments. We prove that in POMDPs with long-run average objective, the…

Non linear regression models are a standard tool for modeling real phenomena, with several applications in machine learning, ecology, econometry... Estimating the parameters of the model has garnered a lot of attention during many years. We…

Longitudinal data are important in numerous fields, such as healthcare, sociology and seismology, but real-world datasets present notable challenges for practitioners because they can be high-dimensional, contain structured missingness…

We reconsider the Cournot duopoly problem in light of the theory for long memory. We introduce the Caputo fractional-order difference calculus to classical duopoly theory to propose a fractional-order discrete Cournot duopoly game model,…

In this work, we introduce a planning neural operator (PNO) for predicting the value function of a motion planning problem. We recast value function approximation as learning a single operator from the cost function space to the value…

We discuss a general Bayesian framework on modeling multidimensional function-valued processes by using a Gaussian process or a heavy-tailed process as a prior, enabling us to handle nonseparable and/or nonstationary covariance structure.…

We consider a financial market model driven by an R^n-valued Gaussian process with stationary increments which is different from Brownian motion. This driving noise process consists of $n$ independent components, and each component has…

In this paper we study the Large Deviation Principle (LDP in abbreviation) for a class of Stochastic Partial Differential Equations (SPDEs) in the whole space $\mathbb{R}^d$, with arbitrary dimension $d\geq 1$, under random influence which…

We construct fractionally integrated continuous-time GARCH models, which capture the observed long range dependence of squared volatility in high-frequency data. Since the usual Molchan-Golosov and Mandelbrot-van-Ness fractional kernels…

In this paper, an algorithm for approximate evaluation of back-propagation in DNN training is considered, which we term Approximate Outer Product Gradient Descent with Memory (Mem-AOP-GD). The Mem-AOP-GD algorithm implements an…

We consider the estimation of the location of the pole and memory parameter, \lambda ^0 and \alpha, respectively, of covariance stationary linear processes whose spectral density function f(\lambda) satisfies f(\lambda)\sim C| \lambda…

Parameter inference of dynamical systems is a challenging task faced by many researchers and practitioners across various fields. In many applications, it is common that only limited variables are observable. In this paper, we propose a…

Designing effective neural networks requires tuning architectural elements. This study integrates fractional calculus into neural networks by introducing fractional order derivatives (FDO) as tunable parameters in activation functions,…